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Relationship between liquidity and volatility of selected exchange rate pairs
Název práce v češtině: Vztah mezi likviditou a volatilitou u vybraných směnných kurzů
Název v anglickém jazyce: Relationship between liquidity and volatility of selected exchange rate pairs
Klíčová slova: liquidity, volatility, foreign exchange, currency
Klíčová slova anglicky: liquidity, volatility, foreign exchange, currency
Akademický rok vypsání: 2012/2013
Typ práce: bakalářská práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: prof. PhDr. Ladislav Krištoufek, Ph.D.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 14.05.2013
Datum zadání: 21.05.2013
Datum a čas obhajoby: 17.06.2014 00:00
Místo konání obhajoby: IES
Datum odevzdání elektronické podoby:12.05.2014
Datum proběhlé obhajoby: 17.06.2014
Oponenti: Mgr. Daniel Benčík
 
 
 
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Seznam odborné literatury
CARLSTON, B.: Examining the Commonality in Liquidity and Volatility risk. Duke university, working papers, 2012, http://econ.duke.edu/people/carlston/research

GOYENKO, R. Y., HOLDEN, C. W. & TRZCINKA CH. A.: Do Measures of Liquidity Measure Liquidity? Journal of Financial Economics 92, pp. 153-181, 2009

LOCKE, P. R., SARKAR, A.: Volatility and Liquidity in Futures Markets, Federal Reserve Bank of New York, 1996, http://www.newyorkfed.org/research/staff_reports/research_papers/9612.html

MANCINI, L., RANALDO, A. & WRAMPELMEYER, J.: Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums. Journal of Finance, Forthcoming, 2012, http://ssrn.com/abstract=1447869
Předběžná náplň práce
In the thesis, I will examine how liquidity and volatility are interrelated in foreign exchange market. Forex has not been studied as extensively as equity or bond markets, mainly because of its opaque structure and data unavailability, but it has improved. I will start with construction of liquidity (some measures in Goyenko, Holden & Trzcinka will be used) and volatility measures of several exchange rate pairs. Then, time series analysis will be performed and based on the results, conclusion will be made. Hypotheses about the relationship are following: 1) liquidity is negatively related to volatility and 2) increase (or decrease) in volatility precedes decrease (increase) in liquidity, because holding large inventories is more risky in times of high volatility and market-makers, as a result, decrease provided liquidity.

Outline:
1) Introduction
2) Theoretical background
3) Description of data
4) Estimation of liquidity and volatility
5) Relationship between liquidity and volatility
6) Conclusion
Předběžná náplň práce v anglickém jazyce
In the thesis, I will examine how liquidity and volatility are interrelated in foreign exchange market. Forex has not been studied as extensively as equity or bond markets, mainly because of its opaque structure and data unavailability, but it has improved. I will start with construction of liquidity (some measures in Goyenko, Holden & Trzcinka will be used) and volatility measures of several exchange rate pairs. Then, time series analysis will be performed and based on the results, conclusion will be made. Hypotheses about the relationship are following: 1) liquidity is negatively related to volatility and 2) increase (or decrease) in volatility precedes decrease (increase) in liquidity, because holding large inventories is more risky in times of high volatility and market-makers, as a result, decrease provided liquidity.

Outline:
1) Introduction
2) Theoretical background
3) Description of data
4) Estimation of liquidity and volatility
5) Relationship between liquidity and volatility
6) Conclusion
 
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